巴黎银行-全球-外汇市场-外汇定位分析-20180108-10页_751kb

FX Positioning Analysis Summary (8 January 2018)

Core Content

This document provides an FX Positioning Analysis report from BNP Paribas London Branch, authored by Natalie Rickard, FX Strategist. It outlines the current market positioning of major G10 currencies based on various indicators, including client exposure, IMM (Commitment of Traders), risk reversals, FX Fund Position Tracker, and BNPP Trending Indicator. The scores are reported on a percentile scale (-50 to +50) based on historical data from the past five years.

Key Currency Positioning Insights

• USD: Short positions have increased significantly, reaching a score of -34, the largest short since August 2017.
• CAD: FX investors have rebuilt large long positions, with an overall score of +20, though FX funds remain short CAD.
• NOK: The market has shifted to a long position, with a score of +14.
• EUR: FX investors continue to hold substantial long positions, with a score of +23.
• JPY: FX investors are positioned short, with a score of -20.
• CHF: FX investors are also short, with a score of -26.
• GBP: A score of +1 indicates a slight long position.
• AUD: A score of +27 suggests a long position.
• NZD: A score of +15 indicates a moderate long position.
• SEK: A score of +24 suggests a long position.

Positioning Score Interpretation

• The scores are calculated using a percentile system based on historical data from the prior five years.
• Scores above +40 or below -40 indicate extreme positions.
• To interpret a score, add 50 to the value. For example, a score of -27 means 23% of past observations were below the current level.

Positioning Calculation Method

The overall currency score is calculated as an equally weighted average of the following components:

• Client Exposure
• IMM (Commitment of Traders)
• Risk Reversals
• FX Fund Position Tracker
• BNPP Trending Indicator

Additional Information

• Chart 1 provides the overall positioning score for all currencies.
• Chart 2 and Chart 3 show the absolute total G10 positioning and individual currency positioning over the past year.
• The report includes detailed contact information for FX and Emerging Markets FX & IR Strategy teams, including roles and contact details for various strategists and analysts.

Legal Disclaimer

• This document is a marketing communication and not investment research.
• It does not constitute an offer to sell or issue securities or a solicitation to purchase.
• BNP Paribas may have financial interests in the securities mentioned, including positions or advisory roles.
• There may be conflicts of interest due to interactions with sales and trading teams.
• The information is based on public sources and may not be independently verified.
• No guarantees are made regarding accuracy, completeness, or fitness for a particular purpose.
• The document may not be reproduced or distributed without prior written consent.
• Simulated performance data is provided for illustrative purposes only and does not guarantee future results.

US and UK Disclosures

• Options: Complex instruments not suitable for all investors. Risk disclosure documents must be reviewed.
• ETFs: May involve tracking error, currency, and geopolitical risks. BNP Paribas may have conflicts of interest.
• Restricted Securities: Some may not be registered under US securities laws and are only available to Qualified Institutional Buyers or non-US persons under Regulation S.
• UK: The document is communicated by BNP Paribas London Branch, which is authorized and regulated by the ECB, ACPR, and FCA.

Distribution and Jurisdictional Notes

• The document is produced by BNP Paribas and may be subject to different legal requirements in various jurisdictions.
• It is intended for Relevant Persons as defined under MiFID and other legal frameworks.
• It is not a prospectus and does not provide investment, tax, or legal advice.

Contact Information

FX Global Strategy Contacts

• Michael Sneyd, CFA: Global Head of FX Strategy & Cross-Asset Strategist, London
• Sam Lynton-Brown: FX Strategist, London
• Natalie Rickard: FX Strategist, London
• Alex Jekov: Graduate, London
• Daniel Katzive, CFA: Head of FX Strategy North America, New York
• Vasilis Koutsaftis: FX Options Strategist, New York

Emerging Markets FX & IR Strategy Contacts

• Wike Groenenberg: Head of Emerging Markets Research, CEEMEA & APAC, London
• Marcelo Carvalho: Head of Emerging Markets Research, Latam, Sao Paulo
• Piotr Chwiejczak: FX & IR CEEMEA Strategist, London
• Sai Ulluri: FX & IR CEEMEA Strategist, London
• Erkin Isik, CFA: FX & IR CEEMEA Strategist, Istanbul
• Mirza Baig: Head of FX & IR Asia Strategy, Singapore
• Dawn Kwa: Graduate, Singapore
• Altaz Daghia: AU/NZ IR Strategist, Singapore
• Kun Shan: China Strategist, Shanghai
• Tianhe Ji: China Strategist, Beijing
• Gabriel Gersztein: Head FX & IR Latam Strategy, Sao Paulo
• Samuel Castro: FX & IR Latam Strategist, Sao Paulo
• Gustavo Mendonca: FX & IR Latam Strategist, Sao Paulo

Distribution Contacts

• Barbara Consuelo: London
• Amanda Grantham-Hill: London
• Anna McLauchlin: London
• Varghese Joseph: New York

Conclusion

The report highlights significant shifts in FX positioning, with USD under substantial short pressure and CAD, EUR, and NOK showing long positions. The data is based on historical percentiles and multiple indicators, offering insights into market sentiment and potential future movements. Investors are advised to exercise caution and seek independent advice before making any decisions based on this report.